BÜCHER VERSANDKOSTENFREI INNERHALB DEUTSCHLANDS
Convex Stochastic Optimization
Dynamic Programming and Duality in Discrete Time
Springer
ISBN 978-3-031-76431-8
Standardpreis
Bibliografische Daten
Fachbuch
Buch. Hardcover
2024
Bibliographien.
In englischer Sprache
Umfang: 424 S.
Format (B x L): 16 x 24.1 cm
Gewicht: 797
Verlag: Springer
ISBN: 978-3-031-76431-8
Produktbeschreibung
This book studies a general class of convex stochastic optimization (CSO) problems that unifies many common problem formulations from operations research, financial mathematics and stochastic optimal control. We extend the theory of dynamic programming and convex duality to allow for a unified and simplified treatment of various special problem classes found in the literature. The extensions allow also for significant generalizations to existing problem formulations. Both dynamic programming and duality have played crucial roles in the development of various optimality conditions and numerical techniques for the solution of convex stochastic optimization problems.
Autorinnen und Autoren
Kundeninformationen
A state-of-the-art theory of dynamic programming and convex duality in stochastic optimization Unifies and extends stochastic optimization models Includes applications to mathematical programming, optimal control and financial mathematics
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